Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1243
Annualized Std Dev 0.1873
Annualized Sharpe (Rf=0%) 0.6635

Row

Daily Return Statistics

Close
Observations 3563.0000
NAs 1.0000
Minimum -0.0987
Quartile 1 -0.0048
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0005
Quartile 3 0.0066
Maximum 0.1185
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0001
Stdev 0.0118
Skewness -0.3022
Kurtosis 8.8757

Downside Risk

Close
Semi Deviation 0.0087
Gain Deviation 0.0079
Loss Deviation 0.0094
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0084
Downside Deviation (0%) 0.0084
Maximum Drawdown 0.4108
Historical VaR (95%) -0.0180
Historical ES (95%) -0.0288
Modified VaR (95%) -0.0177
Modified ES (95%) -0.0323
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2010-01-11 -0.4108 641 428 213
2020-02-20 2020-03-23 2020-06-08 -0.3057 76 23 53
2011-05-19 2011-10-03 2012-03-26 -0.1976 215 95 120
2018-10-01 2018-12-24 2019-07-03 -0.1949 190 59 131
2015-07-23 2016-02-11 2017-05-02 -0.1931 448 141 307

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA 0 -0.2 -0.1
2007 0.6 -0.8 -0.4 0.5 0.4 -0.6 -0.1 0.7 -0.4 -0.1 0.4 -1 -0.8
2008 -0.1 -1.6 3.1 1.6 0 -0.1 -1 -0.4 0.2 1.4 -5.6 0.9 -1.9
2009 -1.8 -3.8 -0.4 -0.5 2.5 0.3 -0.6 -1.4 -1.3 -1.4 1 -0.6 -7.9
2010 0.1 1.4 0.2 -1.5 -1.5 -1.1 0.8 2.7 0 0.2 2 -0.4 2.6
2011 1.3 -0.3 0.6 -0.2 -1.2 1.6 -2.2 -0.8 -0.7 -3.1 0.8 -0.3 -4.6
2012 1.4 0.2 0.6 0.7 -2.1 2.1 0.1 0.3 0.6 1.7 0 0.6 6.1
2013 1 0.9 0.3 -0.7 -1.7 0.5 0.8 -0.4 1.4 0.4 -0.1 0.2 2.7
2014 -0.5 -0.4 1 0.3 0.2 1.3 0 0.4 -0.8 0.8 -0.4 -0.9 0.9
2015 -1.6 -0.4 -1.1 1 0.5 0.9 0.4 -2.7 0.7 -0.6 1.5 -0.8 -2.1
2016 0.6 1.8 1.3 -1.3 0.7 0.7 0.2 -0.3 1 -0.5 -0.8 -0.2 3.2
2017 1 0.9 -0.2 0.3 1.5 0.1 -0.3 0 0.9 -0.5 -0.6 -0.5 2.6
2018 -0.5 -2.6 0.8 0.2 1.2 0.2 -0.1 0.1 0 1.7 0.4 1.3 2.6
2019 0.1 1.6 0.5 -0.5 -0.7 0.6 0 0 -1.2 0.7 -0.4 0.4 1.2
2020 -2.1 -1.4 -4 -2.9 -0.3 0.4 -0.6 -1 -0.5 -0.7 0.6 1.1 -11
2021 0.9 1.2 0.7 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-11-07  50.5 SPY    139. 3.80e-3   0.006    0.0261   0.0916    0.134    0.303    0.233 GLD    62.0  0.00240  0.0299 
2 2006-11-08  49.5 SPY    139. 2.20e-3   0.015    0.0269   0.0906    0.136    0.315    0.238 GLD    61.1 -0.015   -0.0041 
3 2006-11-10  48.9 SPY    138. 4.00e-4   0.0125   0.0144   0.0876    0.121    0.315    0.226 GLD    62.5 -0.0073   0.003  
4 2006-11-13  49.1 SPY    139. 2.50e-3   0.0036   0.0143   0.0774    0.120    0.303    0.237 GLD    62.2 -0.00480  0.00480
5 2006-11-20  49.9 SPY    140. 6.00e-4   0.0139   0.0267   0.0798    0.123    0.342    0.214 GLD    61.8 -0.0002  -0.0068 
6 2006-11-22  50.0 SPY    141. 2.00e-3   0.0064   0.022    0.0869    0.116    0.352    0.236 GLD    62.5  0.0037   0.0107 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart